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Stein and CAPM estimators of the means in asset allocation
Grauer, Robert R. - In: International review of financial analysis 4 (1995) 1, pp. 35-66
Persistent link: https://www.econbiz.de/10001201560
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Style-investing auf europäischen Aktienmärkten : eine empirische Analyse bewertungsrelevanter Fundamentalfaktoren
Paulus, Helmut - 1997
Persistent link: https://www.econbiz.de/10013438293
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Multi-asset portfolio optimization and out-of-sample performance : an evaluation of Black-Littermann, mean variance and nai͏̈ve diversification approaches
Bessler, Wolfgang; Opfer, Heiko; Wolff, Dominik - 2012 - Current Version: March 1, 2012
The Black-Litterman (BL) model aims to enhance asset allocation decisions by overcoming the weaknesses of standard mean-variance (MV) portfolio optimization. In this study we implement the BL model in a multi-asset portfolio context. Using an investment universe of global stock indices, bonds,...
Persistent link: https://www.econbiz.de/10009671099
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The commodities/equities beta term-structure
Oglend, Atle - In: Journal of commodity markets 28 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10014335245
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The alpha momentum effect in commodity markets
Zaremba, Adam; Mikutowski, Mateusz; Szczygielski, Jan Jakub - In: Energy economics 93 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012643310
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Factor based commodity investing
Sakkas, Athanasios; Tessaromatis, Nikolaos P. - In: Journal of banking & finance 115 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012489156
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Two centuries of commodity cycles : dynamics of the metals & mining industry in light of modern portfolio theory
Pfeifer, Jan - 2020
Persistent link: https://www.econbiz.de/10012491739
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The pledge rate research of Copper and Zinc inventory portfolio based on copula-var method
Zhou, Li; Dong, Jing - In: Journal of investment and management : JIM 3 (2014) 2, pp. 37-41
Persistent link: https://www.econbiz.de/10010494115
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Portfolio optimization for inventory financing : copula-based approaches
Zhi, Bangdong; Wang, Xiaojun; Xu, Fangming - In: Computers & operations research : and their … 136 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012629571
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Commodity correlation risk
Byrne, Joseph P.; Sakemoto, Ryuta - 2022
Persistent link: https://www.econbiz.de/10013478831